IEF Options History — March 2021

In March 2021, IEF traded between $112.98 and $115.69. ATM implied volatility averaged 7.6%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.7% (HV 20d: 6.9%). Max pain ranged from $117.00 to $120.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.59.

Notable Days

  • 2021-03-02: Highest Volume — 22,884 contracts
  • 2021-03-12: Largest IV spike — 59.1% change
  • 2021-03-08: Highest IV Rank — 56.9%
  • 2021-03-08: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.06$112.98$115.69$115.42$112.99
Max Pain$117.39$117.00$120.00$120.00$117.00
ATM IV7.6%4.9%13.4%7.2%7.0%
Expected Move2.0%1.7%2.3%2.0%2.2%
HV 20d6.9%5.2%7.9%6.7%5.2%
HV 60d5.2%4.9%5.5%4.9%5.5%
IV Rank25.8%8.3%56.9%21.7%25.4%
IV Percentile63.0%18.7%84.5%62.7%63.9%
Term Structure-1.2%-12.0%1.9%0.1%0.0%
VWIV7.2%6.0%10.0%6.5%8.3%
Skew 25d-0.4%-11.8%8.6%1.3%0.6%
Skew 10d1.3%-11.9%11.2%5.4%0.6%
Call IV 25d10.1%6.0%26.7%7.0%6.9%
Put IV 25d9.7%6.7%24.9%8.3%7.5%
Bid-Ask Spread %38.8114.9785.4416.9926.98
Gamma HHI0.260.110.440.350.13
Net GEX-200.8M-358.6M-34.1M-288.2M-104.8M
Net DEX1.36B688.0M2.13B1.30B905.4M
Net VEX-4.6M-5.5M-3.4M-5.5M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.2625.640.590.80
Total Volume5,360.52286722,8841,9811,205
Total OI391,123.739283,114462,400413,210303,771

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$115.42$120.007.2%2.0%6.7%21.7%6.5%1.3%0.1%-288.2M1.30B-5.5M0.5916.991,249732122,998290,212
2021-03-02$115.69$120.006.5%1.7%6.8%17.8%6.5%1.0%-0.2%-329.4M1.21B-5.3M4.0518.184,52718,357123,786289,041
2021-03-03$115.08$120.007.0%1.8%6.9%20.4%6.0%-0.9%-0.1%-346.7M1.45B-5.5M0.4582.035,2192,367127,859301,638
2021-03-04$114.53$117.009.4%2.0%7.0%34.3%7.0%8.6%-1.8%-281.5M1.54B-5.4M1.1642.714,7065,440137,987299,138
2021-03-05$114.41$117.0010.0%2.0%7.0%37.6%7.4%2.8%-1.4%-298.3M1.55B-4.5M0.2685.446,9741,827141,698302,300
2021-03-08$114.02$117.0013.4%2.3%7.1%56.9%7.5%-6.0%-10.0%-258.0M1.68B-4.7M2.3348.231,3583,168146,127302,407
2021-03-09$114.51$117.007.3%1.9%7.3%22.1%6.6%-4.1%-2.3%-323.6M1.56B-4.7M2.8740.636121,755145,614302,500
2021-03-10$114.73$117.004.9%1.8%7.4%8.3%6.4%-11.8%1.9%-358.6M1.52B-4.9M1.7453.271,3422,338145,975303,039
2021-03-11$114.74$117.007.4%1.9%7.3%23.2%6.2%-1.8%-1.9%-353.6M1.50B-4.7M0.4048.79736292146,370308,945
2021-03-12$113.85$117.0011.8%2.1%7.6%49.6%7.4%-1.8%-12.0%-304.0M1.85B-4.7M0.3948.394,7291,842146,143308,958
2021-03-15$113.99$117.007.6%2.0%7.6%25.1%7.0%0.8%1.1%-290.8M1.81B-4.7M4.3447.444912,129145,382309,079
2021-03-16$113.97$117.007.2%2.1%7.3%22.4%7.7%1.0%-0.1%-273.9M1.83B-4.9M4.5651.01156711145,483310,719
2021-03-17$113.81$117.007.0%2.0%7.3%21.3%7.9%0.1%-0.1%-282.1M1.96B-4.8M1.9742.921,2662,492145,449311,011
2021-03-18$113.19$117.007.8%2.3%7.4%26.2%7.8%1.3%-0.5%-107.5M2.12B-4.5M0.2827.575,8701,661146,543311,258
2021-03-19$112.98$117.007.6%2.2%7.3%25.1%10.0%-6.7%-0.1%-62.9M2.13B-4.4M1.9673.673,0786,029151,308311,092
2021-03-22$113.42$117.007.0%2.1%7.6%22.8%7.0%0.8%0.1%-52.6M792.7M-4.0M0.4419.243,4511,50390,302192,812
2021-03-23$113.95$117.006.3%1.9%7.8%20.6%6.9%0.7%0.1%-46.3M727.4M-3.8M0.9114.972,4092,19391,777192,614
2021-03-24$114.08$117.006.3%1.9%7.9%20.4%6.7%0.8%0.1%-38.1M690.3M-4.4M0.8418.181,15596894,244194,685
2021-03-25$113.99$117.006.2%1.9%6.2%20.0%7.0%0.7%0.1%-34.1M688.0M-3.9M0.8720.181,04690992,699195,132
2021-03-26$113.65$117.006.6%1.9%5.4%22.5%7.1%0.8%0.1%-54.5M752.5M-3.7M1.5223.2859289892,680195,338
2021-03-29$113.22$117.006.9%2.1%5.5%24.7%7.3%1.0%-0.2%-58.4M823.1M-4.3M1.3026.401,0661,39091,581194,837
2021-03-30$113.15$117.006.8%2.1%5.4%24.4%7.7%0.6%0.0%-71.6M832.5M-3.4M25.6416.1241510,63992,475200,840
2021-03-31$112.99$117.007.0%2.2%5.2%25.4%8.3%0.6%0.0%-104.8M905.4M-4.2M0.8026.9866953692,582211,189